报告摘要
题目：The Expected Time Approach to Optimal Adjustment Problems: Application to Domestic Energy Prices
摘要: In countries following administratively-set energy price rules, the government or the regulator periodically adjust announced prices of energy. One key example is the domestic gasoline prices adjusted to international market prices. The global price of gasoline and the exchange rate are both stochastic and thus the domestic prices will deviate from their basic rule; however, since re-announcing the price is costly for suppliers, the government may revise prices only one or twice a year. We formulate the problem as an impulse control problem and offer analytical solution for it. Our results provide insights for the optimal revision period.
报告人简介：胡耀中教授现在加拿大阿尔伯塔大学数学系任职，主要研究随机系统的基础理论、数值方法及其在金融、工程、量子物理等领域的应用，是国际知名的随机分析专家，在《Annals of Probability》、《Journal of Theoretical Probability》、《Stochastic Processes and their Applications》、《Probability Theory and Related Fields》等国际一流杂志发表学术论文100余篇。
题目：Some Recent Results on Multivariate Gaussian Random Fields
摘要：In this talk, we present some recent results on probabilistic and statistical properties of a large class of multivariate Gaussian random fields with stationary increments including operator fractional Brownian motion and vector-valued operator-scaling random fields. The main results characterize properties of their local times, prediction errors, and estimation of parameters.
报告人简介：肖益民教授是美国密歇根州立大学Foundation Professor，并于2012年度入选“长江学者奖励计划”讲座教授（北京理工大学）。肖益民教授主要从事随机场及随机偏微分方程、分形几何、位势理论、随机场的极值理论、空间统计、非参数估计方面的研究，取得了一系列具有国际先进水平的重要成果，促进了随机场理论在其它领域中的应用。肖益民教授系美国数理统计学会会士（Fellow of the American Mathematical Statistics Society）。现担任SCI杂志《Statistics and Probability Letters》共同主编，同时还是SCI杂志《Science in China, Mathematics》，《Illinois Journal of Mathematics》的编委。
